Risk Solver Platform for Excel Uses Windows HPC Server 2008 R2 to Solve Challenging Optimization and Simulation Problems on Compute Clusters

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Risk Solver Platform for Excel, Frontline Systems’ flagship software product for analyzing risks and allocating resources optimally in the presence of uncertainty, will use Windows HPC Server 2008 R2 and HPC Services for Excel 2010, released today, to solve challenging mathematical optimization and Monte Carlo simulation problems on compute clusters in its upcoming V10.5 release, expected in November 2010.

Risk Solver Platform in Excel 2010

Microsoft’s HPC Services for Excel 2010 makes it possible for us to harness a Windows HPC Server 2008 R2 cluster to multiply this speed, solving time-critical problems in minutes instead of hours.

Risk Solver Platform for Excel, Frontline Systems’ flagship software product for analyzing risks and allocating resources optimally in the presence of uncertainty, will use Windows HPC Server 2008 R2 and HPC Services for Excel 2010, released today, to solve challenging mathematical optimization and Monte Carlo simulation problems on compute clusters in its upcoming V10.5 release, expected in November 2010.

“Frontline has always aimed to offer the fastest available tools for mathematical optimization and Monte Carlo simulation in Excel,” said Daniel Fylstra, Frontline Systems’ president. “Microsoft’s HPC Services for Excel 2010 makes it possible for us to harness a Windows HPC Server 2008 R2 cluster to multiply this speed, solving time-critical problems in minutes instead of hours.”

“Our customers have told us that many of their compute-intensive applications are in Excel,” said Bill Hamilton, Director, Technical Computing, Microsoft Corp. “With Risk Solver Platform, using HPC Services for Excel 2010 and Windows HPC Server 2008 R2, Frontline Systems will help ensure that our joint customers can speed time to insight.”

Risk Solver Platform is an integrated product that uses both powerful optimization algorithms and Monte Carlo simulation methods to solve a wide range of problems, ranging from conventional models solved via linear programming methods, to models requiring optimal decisions that deal with uncertainty, using simulation optimization and stochastic programming methods. Its tools for solving conventional models are upward compatible from the Solver included in Microsoft Excel, which Frontline Systems developed for Microsoft.

Risk Solver Platform is used in a wide range of industries, with a common thread of finding the best way to allocate scarce resources. Examples range from fleet scheduling and blending of chemicals to allocating funds in stock portfolios while dealing with market fluctuations, planning oil exploration projects with uncertain costs and payoffs, and allocating resources to drug discovery programs in the pharmaceutical industry.

Problems Distributed to Excel on Compute Nodes

For large-scale Excel models, or complex models using nonlinear or non-smooth functions, solving an optimization or simulation problem may take from minutes to hours. Users frequently want to solve a series of such problems, varying certain parameters, and Risk Solver Platform supports this with point-and-click features for defining parameters, automatically solving all the problems, displaying all the solutions, and producing reports, charts and graphs in Excel. But even with the best algorithms and use of a PC’s multiple processor cores, the end-to-end solution time may be longer than users want or need.

On a desktop PC connected to a Windows HPC Server 2008 R2 cluster, Risk Solver Platform uses HPC Services for Excel 2010 to automatically distribute copies of the user’s Excel workbook to compute nodes in the cluster, where Excel 2010 and Risk Solver Platform are also installed. Each compute node solves a problem instance, again exploiting multi-core processors, and sends its solution data back to the desktop PC. On that PC, Risk Solver Platform then displays, and allows the user to browse through all the solutions, just as if the entire series of problems had been solved on the desktop in Excel. Assuming the PC is authenticated to use the cluster, the entire process is transparent to the user – just much faster.

Further Options to Deploy Optimization and Simulation Applications

For customers who want to develop applications using optimization and simulation in a programming language such as C# or Java, or deploy their applications in an environment where Excel is not available, Frontline Systems offers a complementary product called Solver Platform SDK, which can also run on a Windows HPC Server 2008 R2 cluster. In Solver Platform SDK, optimization and simulation models may be written entirely in code, or read in from an Excel workbook developed using Risk Solver Platform, updated with new data, and solved.

Further information about Risk Solver Platform and Solver Platform SDK is available on request from Frontline Systems.

Frontline Systems, Inc. (http://www.solver.com) is a leading developer of optimization and simulation software, and the leader in spreadsheet optimization software that helps analysts and managers optimally allocate scarce resources – money, equipment, and people – to realize substantial cost savings. Frontline developed the solvers/optimizers for Microsoft Excel, Lotus 1-2-3 and Quattro Pro, distributed to more than 500 million spreadsheet users. Founded in 1987, Frontline is based in Incline Village, Nevada.
All product and company names mentioned herein may be trademarks of their registered owners.

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Christopher Riche
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